Start by installing the uds R package.  Generally, this means typing
something like

sudo R CMD INSTALL uds_0.3.tar.gz

at the prompt.  You need to have a suitable C++ compiler installed for
this to work.  This should be the case in Linux out of the box.  You
want to install Xtools on OS X.  If you use another platform we wish
you the best.

Please note that the source package does not contain production-level
software.  That is, it has only been tested on the authors' own
computing environments and it is certainly not bug free.  It was used
only to conduct the analysis in the paper and is not intended for
general-purpose use.  Furthermore, the authors are not in a position
to support the software in any systematic way.  In particular, we will
not help you install the software on your machine or diagnose and fix
bugs in a timely fashion.  That said, we welcome feedback and will try
to respond to reasonable requests for help or information.  USE AT
YOUR OWN RISK.

To replicate the paper, open R and do

source("replicate.R")

This will take quite some time on most machines.  You may want to look
at replicate.R and do the steps one at a time yourself instead.
